QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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stochasticcollocationinvcdf.hpp File Reference
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/interpolations/lagrangeinterpolation.hpp>
#include <ql/functional.hpp>

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Classes

class  StochasticCollocationInvCDF
 Stochastic collocation inverse cumulative distribution function. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Stochastic collocation inverse cumulative distribution function

Definition in file stochasticcollocationinvcdf.hpp.